Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0218
Annualized Std Dev 0.2328
Annualized Sharpe (Rf=0%) 0.0937

Row

Daily Return Statistics

Close
Observations 3685.0000
NAs 1.0000
Minimum -0.1375
Quartile 1 -0.0059
Median 0.0009
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0075
Maximum 0.0930
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0147
Skewness -1.2583
Kurtosis 10.2584

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0089
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.7435
Historical VaR (95%) -0.0220
Historical ES (95%) -0.0384
Modified VaR (95%) -0.0257
Modified ES (95%) -0.0648
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.7435 3455 443 NA
2007-02-27 2007-03-05 2007-03-21 -0.1006 17 5 12
2006-07-05 2006-07-19 2006-07-31 -0.0410 13 7 6
2006-08-22 2006-09-11 2006-09-22 -0.0320 23 14 9
2007-05-08 2007-05-10 2007-05-18 -0.0235 9 3 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 4.2 -0.1 0.6 -0.1 0 0.6 -0.3 4.9
2007 0.6 -1.4 0.5 0.3 0.4 -0.3 0.8 1.8 0.2 -2.3 0.4 -1.6 -0.7
2008 1.4 -2.1 2.1 0.9 -0.3 -2.3 0.6 -0.4 -0.8 -0.3 -5.9 1.5 -5.7
2009 -0.4 -0.9 1.8 1.9 2.8 -1.3 1.5 -2.7 -2.2 -4.3 2.7 -0.8 -2.3
2010 1 -0.7 2.1 -0.7 0.7 0.6 0.4 1.6 1.4 -1.6 3.1 1.4 9.6
2011 1.9 1.5 -0.3 0.9 -0.5 0.9 -1.6 -1.5 -2.6 -3.5 -1.1 0.3 -5.6
2012 1.3 0.6 0.9 1.6 -2.9 5.1 0.5 0.8 0.5 0.8 0.5 2.3 12.6
2013 1.6 -0.9 -0.3 -0.3 -1.5 0.8 1 -0.8 1 -0.6 0.5 0.5 1.1
2014 -1.2 1 1.4 -0.3 0.3 0.9 -1 -0.3 -1.3 0.9 0 -0.8 -0.4
2015 -0.5 0.4 0.6 0.4 -0.6 0.3 0.6 -2 0.4 0.4 1.3 -1.2 0.2
2016 0.6 2.4 -0.3 0.4 0 0.3 -1.5 1.5 1 -0.1 0.4 0.6 5.4
2017 0.8 0.6 0.4 0.4 0.9 0.6 0.4 0.6 1 0.1 -0.1 0.4 6.5
2018 0.7 -0.9 0.6 -0.4 0.8 0.8 -0.3 -0.5 0.2 2.4 -0.7 0.9 3.5
2019 -0.3 1.4 1.4 -0.6 -0.5 0.3 -0.8 0.4 -0.6 1.3 -0.2 0.9 2.9
2020 -0.8 -0.2 -3.9 -2 2.1 0.4 -1.5 -0.1 1.1 0.7 3.1 -0.4 -1.8
2021 1.4 1.7 0.3 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  50.9 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-19  51.0 SPY    124. -0.0079 -0.0026   -0.0201  -0.0517   0.019     0.218  -0.0176 GLD    56.4 -0.0229  -0.0611
3 2006-06-20  50.8 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
4 2006-06-21  50.9 SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
5 2006-06-22  50.8 SPY    124. -0.0044 -0.0132   -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
6 2006-06-26  51.0 SPY    125.  0.0044  0.0107   -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005    0.0341
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart